building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the … of sovereign risk: scope, loss estimation, shock calibration, and capital impact calculation. Most importantly, a market …-consistent valuation approach lies at the heart of assessing the resilience of the financial sector in a tail risk scenario with sovereign …

macrofinancial variables into time varying contributions from sets of shocks. Risk premia shocks are estimated to contribute …

the term sovereign risk. Developments in Europe since early 2010 presented new challenges for the functioning of private … banks in an environment of heightened sovereign risk. This paper uses an innovative way of measuring the perception of … sovereign risk and its impact on deposit dynamics during 2006-11. Using an extension of a common market discipline framework, it …